Table 5 Comparison of MBRT–CRRA and...

Table 5

Comparison of MBRT–CRRA and LSM–CRRA to value a Bermudan Put γ vs T

T//gamma	−0.9			−0.5			0			0.5			0.9
T//gamma	min	mean	max	min	mean	max	min	mean	max	min	mean	max	min	mean	max
1//12		0.360*			0.300*			0.21*			0.10*			0.00*
1//12	0.354	0.363	0.373	0.294	0.304	0.315	0.206	0.215	0.222	0.104	0.11	0.117	0.004	0.005	0.005
1//6		0.490*			0.40*			0.290*			0.14*			0.005*
1//6	0.479	0.495	0.514	0.398	0.412	0.43	0.279	0.295	0.307	0.142	0.149	0.158	0.004	0.006	0.008
1//4		0.582*			0.486*			0.34*			0.17*			0.006*
1//4	0.567	0.589	0.608	0.475	0.492	0.509	0.338	0.351	0.365	0.165	0.177	0.186	0.006	0.007	0.009
1//3		0.655*			0.548*			0.39*			0.199*			0.007*
1//3	0.64	0.662	0.682	0.538	0.556	0.581	0.381	0.396	0.411	0.189	0.2	0.213	0.005	0.007	0.009
1//2		0.768*			0.64*			0.463*			0.234*			0.007*
1//2	0.75	0.775	0.799	0.63	0.653	0.671	0.442	0.465	0.48	0.217	0.236	0.254	0.006	0.008	0.01
1		0.982*			0.829*			0.601*			0.302*			0.008*
1	0.956	0.993	1.027	0.802	0.839	0.875	0.579	0.605	0.632	0.286	0.302	0.319	0.007	0.009	0.011
2		1.202*			1.026*			0.750*			0.371*			0.008*
2	1.171	1.208	1.241	1.006	1.036	1.069	0.723	0.754	0.799	0.351	0.373	0.396	0.007	0.009	0.011

T//gamma	−0.9			−0.5			0			0.5			0.9
T//gamma	min	mean	max	min	mean	max	min	mean	max	min	mean	max	min	mean	max
1//12		0.360*			0.300*			0.21*			0.10*			0.00*
1//12	0.354	0.363	0.373	0.294	0.304	0.315	0.206	0.215	0.222	0.104	0.11	0.117	0.004	0.005	0.005
1//6		0.490*			0.40*			0.290*			0.14*			0.005*
1//6	0.479	0.495	0.514	0.398	0.412	0.43	0.279	0.295	0.307	0.142	0.149	0.158	0.004	0.006	0.008
1//4		0.582*			0.486*			0.34*			0.17*			0.006*
1//4	0.567	0.589	0.608	0.475	0.492	0.509	0.338	0.351	0.365	0.165	0.177	0.186	0.006	0.007	0.009
1//3		0.655*			0.548*			0.39*			0.199*			0.007*
1//3	0.64	0.662	0.682	0.538	0.556	0.581	0.381	0.396	0.411	0.189	0.2	0.213	0.005	0.007	0.009
1//2		0.768*			0.64*			0.463*			0.234*			0.007*
1//2	0.75	0.775	0.799	0.63	0.653	0.671	0.442	0.465	0.48	0.217	0.236	0.254	0.006	0.008	0.01
1		0.982*			0.829*			0.601*			0.302*			0.008*
1	0.956	0.993	1.027	0.802	0.839	0.875	0.579	0.605	0.632	0.286	0.302	0.319	0.007	0.009	0.011
2		1.202*			1.026*			0.750*			0.371*			0.008*
2	1.171	1.208	1.241	1.006	1.036	1.069	0.723	0.754	0.799	0.351	0.373	0.396	0.007	0.009	0.011

Note(s): In each expiration scenario, the first row displays the MBRT–CRRA premium (*), while the second row presents the minimum, mean and maximum values of the LSM–CRRA method for 50 repetitions

Source(s): Authors’ own elaboration

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